Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0309 |
| Annualized Std Dev | 0.2322 |
| Annualized Sharpe (Rf=0%) | 0.1332 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3460.0000 |
| NAs | 1.0000 |
| Minimum | -0.1303 |
| Quartile 1 | -0.0057 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1803 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0146 |
| Skewness | 0.4623 |
| Kurtosis | 20.8449 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0104 |
| Gain Deviation | 0.0113 |
| Loss Deviation | 0.0118 |
| Downside Deviation (MAR=210%) | 0.0149 |
| Downside Deviation (Rf=0%) | 0.0103 |
| Downside Deviation (0%) | 0.0103 |
| Maximum Drawdown | 0.6500 |
| Historical VaR (95%) | -0.0201 |
| Historical ES (95%) | -0.0352 |
| Modified VaR (95%) | -0.0157 |
| Modified ES (95%) | -0.0157 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-24 | 2009-03-06 | 2013-05-20 | -0.6500 | 1467 | 409 | 1058 |
| 2020-02-20 | 2020-03-23 | 2020-12-31 | -0.3810 | 220 | 23 | 197 |
| 2015-07-15 | 2018-12-24 | 2020-01-16 | -0.2435 | 1136 | 869 | 267 |
| 2013-05-21 | 2014-10-15 | 2015-03-30 | -0.1905 | 468 | 355 | 113 |
| 2007-06-27 | 2007-06-29 | 2007-07-03 | -0.0862 | 5 | 3 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | -3.6 | -1 | 0 | 0.9 | -3 | 1.7 | 0.4 | -4.7 |
| 2008 | -1.2 | -0.1 | 1.2 | 2 | 0.2 | -1.3 | -0.5 | -0.2 | 0 | 1.7 | -3.2 | 2 | 0.5 |
| 2009 | -1.5 | -5.5 | 3.3 | 0 | 1 | 1.4 | -0.4 | -0.9 | -2 | -1.3 | 1 | 0.6 | -4.4 |
| 2010 | 0 | 1 | 0 | -1.4 | -0.7 | -1 | 0.3 | 1 | 0.8 | 0.7 | 1.8 | 0.6 | 3.1 |
| 2011 | 0.7 | -0.7 | -0.5 | 0.4 | -1.3 | 0.3 | -2.4 | -0.7 | -1.2 | -1.8 | 0.3 | -0.1 | -6.9 |
| 2012 | 1.5 | 0.6 | 0.6 | 0.5 | -1.9 | 2.1 | 0.8 | -0.1 | 0.4 | 1.5 | -0.8 | 0.8 | 6.2 |
| 2013 | 0.1 | 0.4 | 0 | 0 | -3.3 | 0.9 | 1.6 | 0.2 | -2.2 | -0.6 | 0.7 | -1 | -3.4 |
| 2014 | -0.2 | 0.6 | 1 | -0.3 | -4.5 | 3.1 | 0.7 | 0.3 | -1.5 | 1.9 | -0.2 | -0.5 | 0.1 |
| 2015 | -0.9 | 0.5 | -0.8 | 0.2 | -0.5 | 1.3 | 0.5 | -1.6 | 0.3 | -0.3 | 0.9 | 0.3 | -0.3 |
| 2016 | 1.3 | 1 | 0.9 | -1 | 1.6 | 0.5 | 0 | 0.6 | -0.5 | -1.5 | 0.1 | -0.3 | 2.7 |
| 2017 | 0.5 | 0.9 | 0.2 | 0.5 | 0.9 | 0.3 | -0.3 | 0.1 | -0.1 | 0.1 | 0.7 | 0 | 3.8 |
| 2018 | 0.5 | -1.6 | 0.4 | -0.5 | 0.7 | -0.6 | -0.5 | 0.1 | 0.5 | 2.8 | 0.7 | -1.4 | 1 |
| 2019 | 0.1 | 0.6 | 0.1 | -0.7 | -1.3 | 0.2 | -0.3 | 0.2 | -1 | 0.4 | 0.1 | 0.7 | -0.9 |
| 2020 | -2.4 | -3.8 | -5 | -2.5 | 0.8 | 1.3 | -0.4 | -0.3 | -0.3 | -0.2 | 1.6 | 0.7 | -10.3 |
| 2021 | 0.5 | 1.7 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-06-19 8.2 SPY 153. 0.0025 0.0242 0.0043 0.0873 0.230 0.346 0.472 GLD 65.5 0.0082 0.0215
2 2007-06-20 8.3 SPY 151. -0.0139 -0.0049 -0.0092 0.0548 0.222 0.330 0.440 GLD 64.7 -0.0118 0.0028
3 2007-06-25 8.6 SPY 150. -0.00480 -0.02 -0.0081 0.0463 0.204 0.306 0.509 GLD 64.4 -0.0054 -0.008
4 2007-06-26 8.7 SPY 148. -0.0103 -0.0325 -0.0224 0.038 0.192 0.296 0.486 GLD 63.6 -0.0126 -0.0284
5 2007-06-27 8.5 SPY 150. 0.0142 -0.0049 -0.0121 0.0605 0.203 0.321 0.542 GLD 63.7 0.0008 -0.0161
6 2007-06-28 8.25 SPY 150. -0.0001 -0.0105 -0.0202 0.0592 0.214 0.326 0.539 GLD 64.3 0.00930 -0.0046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
